This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial.
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It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study. The Best Books of Check out the top books of the year on our page Best Books of Looking for beautiful books? Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. Other books in this series. Risk Assessment Marvin Rausand. Extreme value methods and models -- 7.
Reward Yourself
The block maxima approach -- 7. The peaks-over-threshold approach -- 7. Synopsis of R packages -- 7. The package evd -- 7. The package evdbayes -- 7. The package evir -- 7. The package fExtremes -- 7. The packages ismev and extRemes -- 7. The package POT -- 7. The package QRM -- 7. The package Renext -- 7.
Empirical applications of EVT -- 7. Section outline -- 7. Block maxima model for Siemens -- 7. POT method for Boeing -- References -- 8. Modelling volatility -- 8. The class of ARCH models -- 8. Synopsis of R packages -- 8. The package ccgarch -- 8. The package fGarch -- 8. The package gogarch -- 8.
Pfaff B. Financial Risk Modelling and Portfolio Optimization with R
The packages rugarch and rmgarch -- 8. The package tseries -- 8. Empirical application of volatility models -- References -- 9. Modelling dependence -- 9. Correlation, dependence and distributions -- 9. Correlations and dependence revisited -- 9. Classification of copulae -- 9. Synopsis of R packages -- 9. The packages copula and nacopula -- 9. The package fCopulae -- 9. The package gumbel -- 9. The package QRM -- 9. Empirical applications of copulae -- 9.
Financial Risk Modelling and Portfolio Optimization with R : Bernhard Pfaff :
GARCH-copula model -- 9. Mixed copula approaches -- References -- pt. Robust portfolio optimization -- Robust statistics -- Selected robust estimators -- Robust optimization -- Uncertainty sets and problem formulation -- Synopsis of R packages -- The package covRobust -- The package fPortfolio -- The package MASS -- The package robustbase -- The package robust -- The package rrcov -- The package Rsocp -- Empirical applications -- Robust versus classical statistics -- Robust optimization -- References -- Diversification reconsidered -- Most diversified portfolio -- Risk contribution constrained portfolios -- Optimal tail-dependent portfolios -- The package PortfolioAnalytics -- Comparison of approaches -- Optimal tail-dependent portfolio against benchmark -- Limiting contributions to expected shortfall -- References -- Risk-optimal portfolios -- Mean-VaR portfolios -- Applied Time Series Econometrics.
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